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THE JOURNAL OF FINANCE • VOL. LXI, NO. 5 • OCTOBER 2006
The Value Premium and the CAPM
EUGENE F. FAMA and KENNETH R. FRENCH∗
ABSTRACT
We examine (1) how value premiums vary with firm size, (2) whether the CAPM
explains value premiums, and (3) whether, in general, average returns compensate
β in the way predicted by the CAPM. Loughran’s (1997) evidence for a weak value
premium among large firms is special to 1963 to 1995, U.S. stocks, and the book-to-
market value-grow
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